Time-varying coefficient (TVC) estimation is a technique that has been developed to produce consistent estimates of parameters in the simultaneous face of measurement errors, unknown functional form and omitted variables. Previous work on the technique has not paid explicit attention to the...

In this chapter we show that all the known estimators of the coefficients of econometric models are inconsistent if their coefficients and error terms are not unique. In their stead, we present models having unique coefficients and error terms, with specific applicability to the analyses of...

As every econometrician knows, in a regression with one regressor, the dependent and explanatory variables may be spuriously correlated if they may have been affected by some third variable, a common cause. In a highly regarded article, Granger and Newbold (1974) were not concerned with this...

It is often thought that the error term in a regression represents the net effect of omitted variables. This poses a problem whenever the purpose of a model is to explain an economic phenomenon, because the estimated coefficients as well as the error will be wrong in the sense that they are not...